Ramsey rule with forward/backward utility for long-term yield curves modeling (Q2145705): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Arbitrage Theory in Continuous Time / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Theory of the Term Structure of Interest Rates / rank
 
Normal rank
Property / cites work
 
Property / cites work: Financial Markets Equilibrium with Heterogeneous Agents* / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3997838 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4218383 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Affine processes and applications in finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Changes of numéraire, changes of probability measure and option pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Construction of an Aggregate Consistent Utility, Without Pareto Optimality. Application to Long-Term Yield Curve Modeling / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the Realized Risk of High-Dimensional Markowitz Portfolios / rank
 
Normal rank
Property / cites work
 
Property / cites work: Recover Dynamic Utility from Observable Process: Application to the Economic Equilibrium / rank
 
Normal rank
Property / cites work
 
Property / cites work: CONSISTENT MARKET EXTENSIONS UNDER THE BENCHMARK APPROACH / rank
 
Normal rank
Property / cites work
 
Property / cites work: Interest Rate Modeling: Post-Crisis Challenges and Approaches / rank
 
Normal rank
Property / cites work
 
Property / cites work: VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3613975 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bond, futures and option evaluation in the quadratic interest rate model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon / rank
 
Normal rank
Property / cites work
 
Property / cites work: Tauberian Theory / rank
 
Normal rank
Property / cites work
 
Property / cites work: A few comments on a result of A. Novikov and Girsanov's theorem / rank
 
Normal rank
Property / cites work
 
Property / cites work: Sensitivity analysis of utility-based prices and risk-tolerance wealth processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3995203 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Martingale methods in financial modelling. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Envelope Theorems for Arbitrary Choice Sets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5506195 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Portfolio choice under dynamic investment performance criteria / rank
 
Normal rank
Property / cites work
 
Property / cites work: On an Identity for Stochastic Integrals / rank
 
Normal rank
Property / cites work
 
Property / cites work: A benchmark approach to quantitative finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Why the far-distant future should be discounted at its lowest possible rate / rank
 
Normal rank

Latest revision as of 08:46, 29 July 2024

scientific article
Language Label Description Also known as
English
Ramsey rule with forward/backward utility for long-term yield curves modeling
scientific article

    Statements

    Ramsey rule with forward/backward utility for long-term yield curves modeling (English)
    0 references
    0 references
    0 references
    0 references
    17 June 2022
    0 references
    Ramsey rule
    0 references
    yields curves
    0 references
    long-run rates
    0 references
    marginal indifference pricing
    0 references
    market-consistent progressive utility of investment and consumption
    0 references
    forward/backward portfolio optimization
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers